和讲义内容不一致,讲义上说股票数量越多,track error 越少
问题如下图:
选项:
A.
B.
C.
解释:
NO.PZ201809170400000203问题如下 Baseon Exhibit 1 anassuming a full-replication inxing approach, the tracking error is expecteto highest for: XIU. SPY. EFA. C is correct. inx thcontains a large number of constituents will tento create higher tracking error thone with fewer constituents. Baseon the number of constituents in the three inxes (S&P/TSX 60 h60, S&P 500 h506, anMSEAFE h933), EFA (the MSEAFE ETF) is expecteto have the highest tracking error. Higher expense ratios (XIU: 0.18%; SPY: 0.10%; anEFA: 0.33%) also contribute to lower excess returns anhigher tracking error, which implies thEFA hthe highest expectetracking error. 有助教回答说是这道题应该从指数的角度出发,指数里包含的股票越多越难复制,但是另一个助教回答说这是指fun股,s p500里不可能是506只股票,所以到底该从哪个角度理解呢,还是没搞明白,谢谢
NO.PZ201809170400000203问题如下 Baseon Exhibit 1 anassuming a full-replication inxing approach, the tracking error is expecteto highest for: XIU. SPY. EFA. C is correct. inx thcontains a large number of constituents will tento create higher tracking error thone with fewer constituents. Baseon the number of constituents in the three inxes (S&P/TSX 60 h60, S&P 500 h506, anMSEAFE h933), EFA (the MSEAFE ETF) is expecteto have the highest tracking error. Higher expense ratios (XIU: 0.18%; SPY: 0.10%; anEFA: 0.33%) also contribute to lower excess returns anhigher tracking error, which implies thEFA hthe highest expectetracking error. 成分股数量是933吗?题目给的是组合的股数吧,指数的成分股数量没有给
NO.PZ201809170400000203 SPY. EF C is correct. inx thcontains a large number of constituents will tento create higher tracking error thone with fewer constituents. Baseon the number of constituents in the three inxes (S&P/TSX 60 h60, S&P 500 h506, anMSEAFE h933), EFA (the MSEAFE ETF) is expecteto have the highest tracking error. Higher expense ratios (XIU: 0.18%; SPY: 0.10%; anEF0.33%) also contribute to lower excess returns anhigher tracking error, whiimplies thEFA hthe highest expectetracking error. 看了老师的解答可以归纳为以下两个角度嘛?1.站在portfolio角度出发,股票数量越小,tracking error越大;2.站在inx角度,股票数量越多,越难被portfolio 复制,tracking error越大
expense ratio指的是什么? 为什么higher expense ratio tracming error大?
讲义75页写的是,追踪的股票数量越大,tracing erro越低。上一个提问里助教说这道题指的是跟踪的股票数量越大,越难以复制。可是考试时如何判断考的是哪种类型呢?感觉两种说法都对